Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0156 |
| Annualized Std Dev | 0.2631 |
| Annualized Sharpe (Rf=0%) | -0.0595 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2295 |
| Quartile 1 | -0.0072 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0078 |
| Maximum | 0.2420 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | -0.4925 |
| Kurtosis | 24.3758 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0136 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.8624 |
| Historical VaR (95%) | -0.0236 |
| Historical ES (95%) | -0.0396 |
| Modified VaR (95%) | -0.0213 |
| Modified ES (95%) | -0.0213 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2020-03-18 | NA | -0.8624 | 3231 | 2977 | NA |
| 2001-05-23 | 2002-10-09 | 2005-08-10 | -0.4399 | 1059 | 345 | 714 |
| 2007-10-19 | 2008-01-23 | 2008-05-16 | -0.2182 | 145 | 65 | 80 |
| 1999-09-10 | 1999-12-22 | 2000-05-10 | -0.1709 | 169 | 73 | 96 |
| 2000-10-13 | 2000-12-06 | 2001-02-06 | -0.1600 | 79 | 38 | 41 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.2 | 0 | 1.1 | -1.2 | -1.5 | 0.4 | 1.8 | 1.6 | 1.1 | 0.4 | -0.6 | 0.8 | 4.1 |
| 2000 | 0.2 | 0.6 | 1.6 | 0.7 | -0.2 | 0 | 0.2 | 0.8 | 1.2 | 1.1 | -0.2 | -0.7 | 5.4 |
| 2001 | 0.4 | -0.3 | 0.4 | 0 | 0 | 1.3 | -0.9 | 0 | 0.2 | 0.4 | 1.4 | 1.3 | 4.2 |
| 2002 | 0.7 | 0.7 | 1 | -1 | 0.2 | -0.1 | -2 | -0.2 | 0.8 | 0.1 | 0.2 | -1 | -0.9 |
| 2003 | 1.1 | 0.5 | 0.3 | 0.3 | 0.7 | -1.4 | -0.9 | 0.4 | 0.7 | 0.4 | 0.6 | 0 | 2.8 |
| 2004 | -0.1 | 2.4 | -0.8 | -0.6 | 3.5 | 0.6 | 1.2 | 0.9 | 0.5 | -1 | -1.6 | 0.3 | 5.2 |
| 2005 | 1.7 | 0.6 | 2.3 | -1.5 | 2.8 | 1.2 | 1.7 | 3.8 | -0.2 | 0.1 | 1.7 | -1.1 | 13.7 |
| 2006 | -1 | 1.3 | -0.3 | 0.9 | 0.6 | 0.3 | 0 | 0.8 | 0.3 | -0.6 | -0.1 | -0.4 | 1.9 |
| 2007 | 0.6 | -0.1 | -0.9 | 0.2 | 0.5 | 1 | -0.9 | 1.3 | 1.6 | -1.8 | 0.4 | -0.8 | 1.1 |
| 2008 | 1.8 | -2.8 | 1.2 | -1.3 | 0.5 | 0.4 | -0.9 | -0.9 | -1.5 | 2.2 | -8.8 | 1.9 | -8.3 |
| 2009 | -1.7 | -1.8 | 1.7 | 2.8 | 4.9 | 0.8 | 1.2 | -1.2 | -2.7 | -3.4 | 1.5 | -0.5 | 1.4 |
| 2010 | 2.7 | 1 | 1.5 | -1.5 | -4.4 | -0.3 | -0.1 | 3.7 | 1.3 | 0.2 | 2.3 | 0.5 | 6.7 |
| 2011 | 1.9 | -1.1 | 0.5 | 1.1 | -1.8 | 0.5 | 0 | -0.8 | -2.5 | -2.8 | -0.2 | 0.7 | -4.6 |
| 2012 | 0.7 | 1.3 | 0.9 | 1.2 | -2.1 | 2.7 | -0.3 | 0.4 | 0.4 | 0.5 | -0.2 | 1.7 | 7.2 |
| 2013 | 0.5 | -0.2 | -0.3 | -1.3 | -1.6 | 0.5 | 1.2 | -0.6 | 0.4 | -0.7 | -0.2 | 0.1 | -2.2 |
| 2014 | -0.8 | 0.8 | 0.3 | -0.3 | 0 | 0.3 | -1.2 | 0.4 | -2 | 1.9 | 0.5 | -0.1 | -0.4 |
| 2015 | -0.6 | -0.8 | 0 | 0 | -0.1 | -0.7 | -1.6 | -2.7 | 2.9 | 1.7 | 0.7 | 1.4 | 0.2 |
| 2016 | -1 | 2.9 | -0.7 | -0.6 | 0 | -0.1 | -3.1 | 0.5 | 1 | -0.2 | 0.2 | -0.3 | -1.3 |
| 2017 | -0.3 | 1.8 | -0.1 | 0 | 0.4 | 0.3 | -0.2 | 0.9 | 0.1 | 1.4 | 0 | 0.2 | 4.6 |
| 2018 | 0.2 | -1 | 1.7 | -1 | 0.5 | 0.8 | -1.2 | -0.2 | 1.2 | 1.3 | -0.1 | 0.6 | 2.7 |
| 2019 | 1.2 | 1.5 | 0.9 | -2.1 | -1.4 | 0.2 | -1.8 | 0.3 | -2 | 2.1 | -1 | 0.6 | -1.4 |
| 2020 | -2.9 | -4.2 | -1.4 | -4.1 | 2.5 | -1.2 | -1.4 | -0.2 | -1.6 | 0.4 | 0.7 | -0.7 | -13.5 |
| 2021 | 1.4 | 2.9 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
